واکنش بازارهای دارایی به ارتباطات بانک ملی سوئیس

In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements.

Communication by central banks has attracted considerable attention in the last few years. It is seen as instrumental in achieving transparency and a high degree of accountability. Moreover, by communicating their intentions, central banks affect the expectations of financial market participants and financial assets and thus increase the effectiveness of monetary policy (Blinder, 1998, Woodford, 2003 and Bernanke, 2004). Ideally, monetary policy is able to respond less aggressively than would otherwise have been necessary. In the last years, a burgeoning, mostly empirical, literature on central bank communication has developed. This paper contributes to this line of research by analyzing whether communication by Swiss National Bank (SNB) management affects Swiss asset markets using high-frequency data. The paper adds to the literature by investigating reactions of asset markets to official policy announcements, speeches and interviews using a new database derived from internal SNB information and external newswire reports. In addition, the study cross-check news reactions, employing both non-parametric techniques as well as established parametric methods. The paper's findings are that SNB communication does indeed affect asset markets. They react not only to official policy statements but also to speeches and interviews. Market participants actively monitor and promptly respond to central bank communication. While official policy announcements cannot be used in a discretionary way, speeches and interviews allow the monetary authorities to flexibly inform market participants about past and ongoing economic activity as well as about impending policy. The policy conclusions of this paper are that communication tools may be seen as additional policy instruments which, however, have to be handled with circumspection. This paper's conclusion is partially at odds with Reeves and Sawicki (2007) who found that in the UK, speeches and testimony to parliamentary committees are less informative than the Bank of England's Minutes and Inflation Report. The Swiss case also contrasts with Kohn and Sack (2004) who found a significant response in interest rate expectations to the Federal Open Market Committee and to then-Chairman Greenspan's testimony to Congress, but no reaction to ordinary speeches – the most comparable form of communication across countries. After reviewing related research, this paper describes the SNB's monetary policy concept and its communication instruments. Next, it describes the data, followed by a presentation of the results. After a discussion of methodological limits to the empirical framework, it draws some conclusions.

Communication provides monetary policy authorities with an effective means of explaining their thinking and decisions. As such, it is potentiallyan importantavenue forcentral bankers todisseminate valuable information to investors. This paper adds to the expanding literature on central bank trans- parency by highlighting the effects of SNB policy announcements, speeches and interviews on asset markets from 2000 to 2005. We provide evidence for intraday patterns of asset market reactions, showing that market participants react promptly to SNB communication. Significant market move- ment at the time of the earliest news release suggests that traders actively monitor real-time central bank information. Our results, derived from Swiss financial data, hint at two conclusions. First, the construction of a new high-frequency database allowed us to accurately analyze reactions of currency, bonds and stocks to real-time communication. The bond market is the most responsive to SNB communication, followed by the currency market. Stocks are the least reactive. We attribute these diverse reaction patterns to the various relationships between monetary policy and discounted asset values. Second, all three communication tools provide important information to market participants. Speeches and interviews can be used to complement monetary policy announcements in notifying market partici- pants of past, current and future SNB decisions and economic conditions in a flexible way, effectively contributing to enhancing the transparency of the central bank. In this paper we have focused on the use of communication tools and the associated market reactions. Further research could be devoted to the content, the clarity, the length and complexity of central bank communication and its market effects.